Here is quick step by step post on how to build a sample App to embed a Yammer feed on an O365 SharePoint site by leveraging Yammer Connect API.
We've just pasted the required Yammer code in CEWP and it works great. You can also save the CEWP Web Part into Web Part gallery if you want to quickly reuse it. Does this "Appification" add some value to our way of doing it?
CEWP is definitely an option specially for 2010, I did this sample app to showcase SharePoint 2013 App model and also how this app can be easily shared in an Office 365 tenant and be leveraged on all site collections to avoid the manual work :)
Can we use the same code On Premise?
Jussi, could you post your code somewhere?
You can find all the code here: developer.yammer.com/connect